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On the stability of domestic financial market linkages in the presence of time-varying volitility

Flavin, Thomas and Panopoulou, Ekaterini and Unalmis, Deren (2008) On the stability of domestic financial market linkages in the presence of time-varying volitility. Department of Economics Finance & Accounting NUI Maynooth. (Unpublished)

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Abstract

We analyze the stability of domestic financial linkages between periods of calm and turbulent market conditions. Our model develops a simultaneous test of shift contagion and bi-directional pure contagion, which is applied to the equity and currency markets of a group of East Asian emerging economies. Our results show a great deal of instability in these markets with widespread evidence of pure contagion in both directions. There is less evidence of shift contagion with the transmission of common shocks unchanged between regimes for the majority of countries.

Item Type: Other
Keywords: Shift contagion; Pure contagion; Financial market crises; Regime switching
Subjects: Social Sciences > Economics, Finance & Accounting
Item ID: 1096
Depositing User: Ms Sandra Doherty
Date Deposited: 28 Nov 2008 13:59
Publisher: Department of Economics Finance & Accounting NUI Maynooth
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